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Surprises in U.S. macroeconomic releases : determinants of their relative impact on T-bond futures
Hess, Dieter - 2001
This paper investigates the intraday response of CBOT T-bond futures prices to surprises in headline figures contained in scheduled U.S. macroeconomic news releases. While several previous studies try to find out which releases have a significant impact on prices and volatility in financial...
Persistent link: https://www.econbiz.de/10011544325
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Surprises in U.S. macroeconomic releases : determinants of their relative impact on T-bond futures
Hess, Dieter - 2001
Persistent link: https://www.econbiz.de/10001635443
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Three essays on financial economics
Lee, Hangyong - 2003
Persistent link: https://www.econbiz.de/10003623717
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Does institutional change really matter? : Inflation targets, central bank, central bank reform and interest rate policy in the OECD countries
Muscatelli, V. Anton; Tirelli, Patrizio; Trecroci, Carmine - In: The Manchester School 70 (2002) 4, pp. 487-527
Persistent link: https://www.econbiz.de/10001686408
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Does institutional change really matter? : Inflation targets, central bank reform and interest rate policy in the OECD countries
Muscatelli, V. Anton; Tirelli, Patrizio; Trecroci, Carmine - 2000
, especially in the USA and Japan. In contrast with popular wisdom, it is only since the 1990s that policies in these countries …
Persistent link: https://www.econbiz.de/10001477148
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Does institutional change really matter? : Inflation targets, central bank reform and interest rate policy in the OECD countries
Muscatelli, V. Anton; Tirelli, Patrizio; Trecroci, Carmine - 1999
Persistent link: https://www.econbiz.de/10001446484
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The zero lower bound and economic determinants of the volatility surface in the interest cap markets
Kim, Myeong Hyeon; Kim, Changki; Hwang, Injun - In: The journal of futures markets 37 (2017) 6, pp. 578-598
Persistent link: https://www.econbiz.de/10011950845
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Linking the Interest Rate Swap Markets to the Macroeconomic Risk : The UK and US Evidence
Azad, A. S. M. Sohel - 2015
In this paper we aim to link the volatility of interest rate swap (hereafter, IRS) markets to the macroeconomic risk/uncertainty of the UK and the US. In doing so, we obtain the low-frequency volatility of IRS using a recently developed Asymmetric Spline GARCH (ASP-GARCH) model of Rangel and...
Persistent link: https://www.econbiz.de/10013028716
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Macro factors in bond risk premia
Ludvigson, Sydney C.; Ng, Serena - In: The review of financial studies 22 (2009) 12, pp. 5027-5067
Persistent link: https://www.econbiz.de/10003916308
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Large-scale asset purchases by the Federal Reserve : did they work?
Gagnon, Joseph E.; Raskin, Matthew; Remache, Julie; … - 2010
Since December 2008, the Federal Reserve’s traditional policy instrument, the target federal funds rate, has been effectively at its lower bound of zero. In order to further ease the stance of monetary policy as the economic outlook deteriorated, the Federal Reserve purchased substantial...
Persistent link: https://www.econbiz.de/10003948813